Specialist, Treasury ALM

Job Purpose:

Develop, enhance and maintain qualitative and quantitative bond analysis frameworks to identify and monitor attractive investment opportunities within the allocation to bonds set in the investment strategy and asset allocation. Generate periodic bond analysis reports covering both the internally managed and the externally managed fixed income allocations.

Roles and Responsibilities:

Key Accountabilities:

• Develop, enhance and maintain quantitative analysis modules and apply them in order to identify attractive bond investment opportunities.
• Utilize primary and secondary analysis, research and due-diligence reports of investment firms, banks, and other external financial institutions in order to identify opportunities.
• Design and implement an internal rating system .
• Build a RAROC model for assessing the performance of the bond portfolio .
• Design models to measure the expected loss from bond exposures across various portfolios.
• Perform regular evaluation and monitoring of the rating of banks and financial institutions that the Fund deals with currently or may deal with in the future and recommend the appropriate dealing limits with each one of them based on the approved investment policy and guidelines.
• Prepare various investment research papers, studies and due diligence covering areas related to bonds in the internal portfolios, the external portfolios and financial markets in order to facilitate the decision-making process within the Department on matters related to the selection of bonds and bond
• managers.
• Assess and review characteristics from covenants and collateral included in
• bond issuance documentation.
• Support portfolio management administration, performance attribution and risk analytics.
• Acquire knowledge of fixed income markets, macro and financial analysis
• research, and portfolio management and investment strategy capabilities.
• Undertake thematic and sector research in the global fixed income markets and prepare related reports.
• Stay up to date with financial markets developments, including exchange rates, interest rates, short-and long-term deposits, bonds and securities, in order to consider the implications of these market movements on the Fund's investment activities.

Job Qualifications and Requirements

Knowledge and Experience:

• 5-6 years of experien ce in Market risk, Investment risk, Treasury risk, financial risk analyses

Education:

• Bachelor’s degree in finance, Economics, Risk Management Or a related field. Master’s degree is preferred

preferred Certification: CFA or FRM charter holder.